3 papers
econ.EM2025
A Flexible Approach to Augmenting a Bayesian VAR with Nonlinear Factors
Todd Clark, Florian Huber, Gary Koop
This paper proposes a vector autoregression augmented with nonlinear factors that are modeled nonparametrically using regression trees. There are four main advantages of our model.…
math.PR2025
Fluctuation Correction and Global Solutions for the Stochastic Shigesada-Kawasaki-Teramoto System via Entropy-Based Regularization
Florian Huber
We study a stochastic extension of the n-species Shigesada-Kawasaki-Teramoto (SKT) cross-diffusion system, in which a multiplicative noise term accounts for fluctuation corrections…
math.PR2024
Markovian Lifts of Stochastic Volterra Equations in Sobolev Spaces: Solution theory, an Ito Formula and Invariant Measures
Florian Huber
We investigate Markovian lifts of stochastic Volterra equations (SVEs) with completely monotone kernels and general coefficients within the framework of weighted Sobolev spaces. Ou…